W洁 · 2020年08月29日
问题如下：
A bond is priced at 88.692 per 100 of par value. The bond's full price will fall to 88.642 if the yield-to-maturity rises by 10 basis points. Moreover, the bond's full price will increase to 88.762 if the yield-to-maturity decreases by 10 basis points. The approximate convexity of the bond is:
选项：
A. 105.24.
B. 225.50.
C. 687.41.
解释：
B is correct.
Approximate convexity
=[88.762+88.642-(2*88.692)]/[(0.001)^2*88.692]
=225.499
老师我想问一下10base points怎么折算NO.PZ2018062006000126 问题如下 A bonis price88.692 per 100 of pvalue. The bons full priwill fall to 88.642 if the yielto-maturity rises 10 basis points. Moreover, the bons full priwill increase to 88.762 if the yielto-maturity creases 10 basis points. The approximate convexity of the bonis: A.105.24. B.225.50. C.687.41. B is correct.Approximate convexity=[V−+V+−2V0]/V0×(△y)2=\left[V_-+V_+-2V_0\right]/V_0\times\left(\triangle y\right)^2=[V−+V+−2V0]/V0×(△y)2=[88.762+88.642-(2×88.692)]/[(0.001)2 × 88.692]=225.499考点convexity解析题干中88.642是利率上升10bps的债券价格PV+，88.762是利率下降10bps的债券价格PV-，代入上述公式即可得convexity为225.499，故B正确。 能用文字描述一下吗？
NO.PZ2018062006000126 为什么这题的▲y不是 0.001x2 的平方？ 我记得之前在算Effective ration的时候, 我们是用的分母算的是有 2吧
如果根据第一个条件，用-(88.642-88.692)/(88.692*0.001)计算出的ration是不是M
通过联立方程式两式相加来计算CONVEXITY可以吗？1. -0.05/88.692=-M0.001+0.5*convexity*(0.001)²2. 0.07/88.692=-M0.001+0.5*convexity*(0.001)²
